Published on 3/18/2014 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $1 million contingent coupon callable buffered notes on two indexes
By Toni Weeks
San Luis Obispo, Calif., March 18 - Credit Suisse AG, London Branch priced $1 million of contingent coupon callable buffered securities due March 19, 2024 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.75% if each index closes at or above its barrier level, 70% of the initial level, on the observation date for that period.
The notes will be callable at par plus the contingent coupon, if any, on any quarterly interest payment beginning March 19, 2015.
The payout at maturity will be par unless either index finishes below its 80% trigger level, in which case investors will lose 1.25% for each 1% decline in the worst-performing index beyond the 20% buffer.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon callable buffered securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1 million
|
| Maturity: | March 19, 2024
|
| Coupon: | 8.75%, payable quarterly if each index closes at or above its barrier level on observation date for that period
|
| Price: | Par
|
| Payout at maturity: | If either underlying component falls below barrier level, 1.25% loss for every 1% drop of worst-performing underlying index beyond 20% buffer; otherwise, par
|
| Call option: | At par plus coupon, if any, on any interest payment date beginning March 19, 2015
|
| Initial levels: | 1,841.13 for S&P, 1,181.41 for Russell
|
| Barrier levels: | 1,288.791 for S&P, 826.987 for Russell; 70% of initial levels
|
| Pricing date: | March 14
|
| Settlement date: | March 19
|
| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.5%
|
| Cusip: | 22547QK96
|
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